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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Scope of reporting on 11.04.2016

In respect of reporting date 11.4.2016 we are supposed to report only about the details on exposures in 1cHigh Default Portfolios 1d in table C.103. Is it correct to assume that for our submissions in respect of tables C.105.1 1cDefinition of internal models 1d and C.105.2 1cMapping of internal models to portfolios 1d we would also only be required to submit information only in respect of 1cHigh default portfolios 1d, i.e. for the same portfolios as reported about in template C.103?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2407
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Levels of reporting

Please clarify whether this reporting exercise requires also the submission of data at sub-consolidated level, apart from consolidated and solo level.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2406
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Securitisations and equity exposures

Are the securitisations and equity exposures in scope of this reporting exercise? If yes, the securitisations and equity exposures shall be classified in the Exposure Class: "(i) Not applicable" in table C103, column 020?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2405
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Joint Decision - Annex III - C105.01 - Column 110

Column 110 of table C.105.01 as per Annex IV shall be filled in just with "Yes" or "No"?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2404
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Assignment of Mortgage Exposures to Portfolio IDs

Please clarify to what Portfolio ID(s) shall be assigned a non-defaulted mortgage exposure with a real estate collateral and a LTV of 70%. Shall it be included in "Mortgages Non-defaulted funded Credit Risk Mitigation (e.g. collaterals)" or in "Mortgages Non-defaulted ILTV >50%,<=75%" ? Or in both portfolios?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2402
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Portfolio ID Unique Row Identifier in template C 103.00

Is column 010, Portfolio ID, of table C.103, supposed to be unique for each row in the table C.103, as per Annex IV? Or rather, it is the unique Portfolio ID as provided in column 010 of table 103 of Annex I, without being a unique row identifier in table C.103 as per Annex IV?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2401
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification on lower barrier level for portfolio number 1.16 (FX) from Annex V

Considering current market (EUR/USD = 1.1374 ), should an adjustment to the lower barrier level defined in Section 2.5 to be expected?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2400
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarifications on Portfolio 1.4 from Annex V (Long/short puts on FTSE 100)

Does Portfolio 1.4, described in Annex V, require exchange traded options? If there is no exact 10% ITM and OTM instrument available on the exchange - should the instrument available with a strike price nearest to the 10% OTM/ITM be taken? Or should an OTC option FTSE with exact strike prices be captured?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2399
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Benchmarking exercise - market risk - clarifications on Annex V portfolios

Annex V - portfolio 1.16 (Double no touch option): Not only is the option worthless, it also knocks out immediately given the current level of spot (1.13). For the 2014 exercise, the level of spot meant that the option was in-the-money at the time of trade entry, however, it appears that the barrier levels have not been updated. As a result, unless the barrier levels are updated, systems may not allow the trade to be booked (it ceases to exist). How should firms handle this? Annex V - portfolios 1.17 and 1.18. What is the underlying currency (which is different from the reference currency) of portfolios 1.17 and 1.18 for Commodity? Are the risk factors for these trades specified in USD or EUR? For example, are the oil put options priced using USD WTI (spot and volatility)? If priced using EUR risk factors, the trades will create cross currency basis risk which will need to be included in the VaR results.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2398
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Own estimates of CCF in the retail exposure class

For which product types has a credit conversion factor (CCF) to be used in the retail exposure class, which is based on own estimates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2397
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 05/05/2017

Applying a currency mismatch haircut to OTC derivatives in a netting pool which are in a currency different from settlement currency

For OTC derivative transactions covered by master netting agreements, if the exposure (derivative) currency is different from the settlement currency, should the exposure amount be increased by the currency mismatch haircut?While calculating the replacement cost of the derivatives, should the exposure amount be increased by the currency mismatch haircut?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2394
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2016

Investment in Tier 2 capital by subsidiary

Article 63(b)(ii) of Regulation (EU) No 575/2013 (CRR) states that capital instruments and subordinated loans shall qualify as Tier 2 instruments provided that particular conditions are met. One of such condition requires that the instruments are not purchased or the subordinated loans are not granted, as applicable, by either the institution or its subsidiaries.Is it a correct approach that only the part of capital instruments which is not currently held by subsidiary should be qualified as Tier 2 instruments?Should an institution apply for permission for the whole issue and after that exclude instruments held by subsidiaries, if national law requires a special permission from the competent authority in order to recognize instrument as Tier 2 capital? And after being granted this permission should the institution exclude in day-to-day adequacy calculation the amount of instruments held by subsidiary?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2392
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 15/07/2016

SBP: Missmatch between predefined values of dimension (ei385) and expected values from EBA

What are the correct predefined values of dimension ei365 in the COREP SBP project report C.106.00?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
  • ID: 2015_2389
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification on Funding Plans significant currencies criteria

What rule should be followed given the discrepancy between what the EBA Guideline establishes and the criteria given by the template GL on FP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2388
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Mortgages non-defaulted with unknown ILTV

The 103 table of the High Default Portfolio benchmarking exercise contains portfolio IDs which for mortgages (non-SME, non-defaulted) are based on ILTV. No portfolio ID is foreseen for exposures with unknown ILTV. Are we correct to assume that mortgages without known ILTV should not be reported in any of the ILTV-based portfolios and thus that the sum of the exposure values of all ILTV-based portfolos should not equal the total exposure value of the portfolio ID containing all non-defaulted mortgages?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2387
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex I template 103 collateral types mortgages non-SME

Annex I contains in the 103 template portfolio IDs of mortgages (non-SME) with as collateral type (column 120) either "Real estate collateral, other funded CRM and/or personal guarantees" and "Real estate collateral and other unfunded CRM". Neither collateral type is defined in Annex II, where only references are given to the c150-c210 of table 8.1 of ITS reporting (which do not conatin this mortgage specific collateral types). Please provide a definition of "Real estate collateral, other funded CRM and/or personal guarantees" and "Real estate collateral and other unfunded CRM". In particular we are unsure how to treat personal guarantees as we consider them to be unfunded CRM and thus seem to be in scope of both definitions, which does not appear logical.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2386
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Market Risk Benchmarking Portfolios: Clarifications regarding the portfolios set out in Annex V

We are seeking clarifications on the specification and definitions of some of the portfolios referred to in Annex V of the draft benchmarking RTS/ITS in view of reporting the correct/harmonised data in the context of the market risk benchmark exercise (and noting that trades have to be booked on 15 October 2015). We list our requested clarifications below, together with a suggested way forward when relevant.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2385
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Scope of asset value correlation adjustment for regulated entities

Should Undertakings for Collective Investment in Transferable Securities (UCITS) be treated as “subject to prudential regulation in the Union,” such that credit exposures to UCITS are only subject to the Asset Value Correlation (AVC) adjustment where the total assets of the counterparty on an individual or consolidated basis exceed EUR 70 billion? Should third country funds which are regulated on a comparable basis to UCITS (for example, US Investment Act 1940 funds, Employee Retirement and Income Security Act funds) receive the same treatment ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2383
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/02/2017

Counterparty credit risk

Our Institution has entered into an Equity Option Swap, by which receives the 'Floating Amount' and pays, in the termination date, the 'Equity Amount'. Our Institution receives quarterly cash-flows linked to Euribor 3 months, and at maturity will pay a payoff linked to a basket of listed stocks.This type of Swap classifies as an interest rate on or an equity one under the Article 274 of Regulation EU 575/2013 (CRR), regarding the couterparty credit risk?Being so, we would like your confirmation that for counterpart risk capital calculations, this swap classifies as an interest rate one, considering that our risk is only regarding the 'Floating Amount'.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2382
  • Topic: Market risk
  • Date of submission:

EBA Final Draft Implementing Technical Standards on benchmark portfolios - question on the trade templates

This question is relating to the EBA Final Draft Implementing Technical Standards on benchmark portfolio / Annex V Market Benchmark portfolios and trade 1.27. It is requested to "Short index put on ITraxx Euorpe Crossover series 21". We'd like to confirm 2 items - series 21 is the offrun contract, is it correct to book an off run contract? - "short put index": does it mean we are receiver or payer of the payment?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2380
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission: